Creating armatures in python
After reviewing the exporter and Max importer, I found out that the correct way is to reverse the bone tips in Blender when comming from Max.

new_bone.parent = parent
new_bone.tail = parent.head
new_bone.use_connect = False


Also, the model cited in the question is kinda broken, so...

Tested with other models and everything looks fine.

Thanks, lemon, for the input.